Powershell exception stopping execution even with try/catch

Question

We have a powershell script that executes in our pipeline and it has a few commands which should not stop if any error occurs. I tried putting the script block inside a try/catch but the pipeline still stopes with error:

This is the code:

    try {   
        az network dns record-set txt add-record `
            -g $ResourceGroup `
            -n "asuid.$DomainName" `
            -v $VerificationId `
            -z $Zone
    
        $record = az network dns record-set cname create `
            -g $ResourceGroup `
            -n $DomainName `
            -z $Zone `
            -o json | ConvertFrom-Json
    
        az network dns record-set cname set-record `
            -g $ResourceGroup `
            -n $record.name `
            -c $Alias `
            -z $Zone
    }
    catch {
        Write-Warning "Creating a DNS record was not possible. Consider creating it by hand or review the error:"
        Write-Warning $_
    }

I know a few workarounds for that like telling the pipeline to continue on error or just executing the cmdLet with -ErrorAction Continue, but for me it does not make any sense why this wouldn't work the way I did. At least for me who comes from C# and other languages, that would the default bahavior if you don't want to rethrow the exception.

What concept am I missing?

EDIT 1

Here is the part of the yaml with the task which is failling:

  - task: AzureCLI@2
    name: create_dns_record
    displayName: "Creates a DNS record for CNAME and TXT on DNS Zone"
    inputs:
      azureSubscription: 'some-azure-subscription'
      scriptType: 'pscore'
      scriptLocation: 'inlineScript'
      inlineScript: |
        . $(System.DefaultWorkingDirectory)/cd/NewDNSRecordSet.ps1
          
        New-DNSRecordSet `
            -ResourceGroup 'rg_zones' `
            -DomainName '$(domain_name)' `
            -Zone '$(dns_zone)' `
            -VerificationId '$(verificationId)' `
            -Alias '$(defaultHostName)' # verificationId and defaultHostName as output from the task CreateInfrastructure.ps1

Here is the output of the pipeline:

Creating DNS Recordset for 'mytest.dev' zone.
Adding txt record: asuid.mytest
ResourceNotFoundError: Resource group 'rg_zones' could not be found.
Creating CNAME record: mytest
ResourceNotFoundError: Resource group 'rg_zones' could not be found.
WARNING: Creating a DNS record was not possible.
##[error]Script failed with exit code: 1

Answer 1

So to test my assumption I wrote this bit of code locally in my PowerShell:

$ErrorActionPreference = 'Stop'

try {
    & 'az' @('group', 'show', '--name', 'foo')

    Write-Host "in try: $LASTEXITCODE"
}
catch {
    $_
    Write-Host "in catch: $LASTEXITCODE"
}

I get the output:

Resource group 'foo' could not be found.
in try: 3

So the az command failed, with a non-zero exit code but it didn't throw an error. The try block executes fine and my script ends.

If you run this in a pipeline, the non-zero exit code would result in the pipeline failing. My proposition is to create some kind of helper method for executing az CLI commands in PowerShell, verify the $LASTEXITCODE and throw an error yourself so you could catch it later.